International Journal of Research in Business and

Social Science IJRBS ISSN: 2147-4478

Vol.4 No.4, 2015
www.ssbfnet.com/ojs

Comparative Study of Outlier Detection

Algorithms via Fundamental Analysis
Variables: An Application on Firms Listed in
Borsa Istanbul

Senol Emir
Corresponding Author: Asst. Prof., Faculty of Economics, Istanbul University, 34126 Beyazit,
Istanbul, Turkey
Hasan Dincer
Assoc.Prof. of Finance, Istanbul Medipol University, School of Business and Management,
Beykoz, 34810, Istanbul, Turkey
Umit Hacioglu
Assoc.Prof. of Finance, Istanbul Medipol University, School of Business and Management,
Beykoz, 34810, Istanbul, Turkey
Serhat Yuksel
Asst.Prof. of Economics & Finance, Konya Food & Agriculture University, Faculty of Social
Sciences and Humanities, Konya, Turkey

Abstract
In a data set, an outlier refers to a data point that is considerably different from the others. Detecting outliers
provides useful application-specific insights and leads to choosing right prediction models. Outlier detection
(also known as anomaly detection or novelty detection) has been studied in statistics and machine learning
for a long time. It is an essential preprocessing step of data mining process. In this study, outlier detection
step in the data mining process is applied for identifying the top 20 outlier firms. Three outlier detection
algorithms are utilized using fundamental analysis variables of firms listed in Borsa Istanbul for the 2011-
2014 period. The results of each algorithm are presented and compared. Findings show that 15 different
firms are identified by three different outlier detection methods. KCHOL and SAHOL have the greatest
number of appearances with 12 observations among these firms. By investigating the results, it is concluded
that each of three algorithms makes different outlier firm lists due to differences in their approaches for
outlier detection.
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Key Words: Outlier Detection, Fundamental Analysis, Stock Exchange, k-Nearest Neighbor (k-NN) Global
Outlier Score, Histogram Based Outlier Score (HBOS), Robust Principal Component Analysis (rPCA)
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Outlier Score.
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JEL classification: G2, C8

Introduction
Financial Analysis is the process of evaluating financial reports of the companies (Cooper and Kaplan, 1991). In this
process, financial experts compare some important accounts over the years in order to make comment about financial
performance of them. With the help of financial analysis, it can be possible to define future performance of these
companies. Therefore, financial reports of the companies are so significant that they affect the investment decisions for
these companies.
Ratio analysis is the main part of the financial analysis. In this process, some ratios of the company, created by using
financial accounts, are evaluated (Nissim and Penman, 2001). Hence, it is used to determine extraordinary changes for
some accounts over the years. Another benefit of ratio analysis is that it defines the relationship between some important
accounts. As a result, ratio analysis helps to make comment about financial position of that company.
Because of the advantages emphasized above, ratio analysis is very helpful in order to make investment decision. Many
investors use financial ratios of the company to learn the financial situation. In other words, these ratios support investors
to evaluate financial performance of the company. Therefore, it can be said that ratio analysis helps investors to make
reasonable decision and to minimize the risk in this process (Johnson, 1970).
However, there are some criticisms about the quality of ratio analysis. According to efficient market hypothesis,
necessary information in order to gain profit from the stocks can be reached by everybody (Fama, 1998). Therefore, it
is impossible to get profit by using ratio analysis related to the company. The main reason behind this situation is that
financial reports of the companies may not reflect the real condition. Hence, ratios created from these reports may give
misleading results.
The paper is organized as follows: second part explains fundamental analysis method. The third part gives information
about outlier detection. The fourth part includes empirical analysis. Finally, the analyze results were given at conclusion.

Literature Review
There are many studies in the literature related to fundamental analysis. Most of them analyze the performance of
fundamental analysis. Some of these studies are explained in the table 1.
Shen and Tzeng tried to create a soft computing model for stock selection by using fundamental analysis. This model
included 20 different rules in order to classify the value of the stocks. In addition to them, stocks in Taiwan were used
in this study to achieve this objective. As a result, it was defined that fundamental analysis is very helpful in order to
predict stock price (Shen and Tzeng, 2015). Bistrova and Lace tested the relevance of fundamental analysis on Baltic
equity markets. Within this scope, the data of 45 companies for the period between 2000 and 2008 was used. As a result,
of the analysis, it was determined that fundamental analysis is not helpful in order to get profit from the stock investment
in Baltic market (Bistrova and Lace, 2015). Yan and Zheng made a study about the relationship between fundamental
analysis and stock returns. Within this context, monthly data for the period between 1963 and 2013 was used in this
study. Furthermore, they defined 217 different ratios in this analysis. Finally, they concluded that fundamental signals
are significant predictors of stock returns (Yan and Zheng, 2015). Shukla and Nerlekar tried to determine which tools
of fundamental analysis are successful in determining the stock price. Within this scope, sugar sector in India was
analyzed in this study. Moreover, monthly data between 2008 and 2012 and 7 different ratios related to fundamental
analysis was used. It was concluded that inventory turnover ratio is the key indicator for sugar sector of India (Shukla
and Nerlekar, 2015).
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 Emir, et al. / International Journal of Finance & Banking Studies
Author
(Shen and Tzeng, 2015)
(Bistrova and Lace, 2015)
(Yan and Zheng, 2015)
(Shukla and Nerlekar,
2015)
(Fan, 2015)
(Chapman, 2015)
(Wafi, et. al., 2015)
(Waworuntu and Suryanto,
2015)
(Megharaja, 2015)
Vol 4, No 4, 2015 ISSN: 2147-4486
Table 1: Studies Related to Fundamental Analysis
Scope Result
It was defined that fundamental analysis is very helpful in
Taiwan
order to predict stock price.
It was determined that fundamental analysis is not helpful
Baltic countries in order to get profit from the stock investment in Baltic
market.
NYSE, AMEX, and
It was concluded that fundamental signals are significant
NASDAQ common
predictors of stock returns.
stocks
It was concluded that inventory turnover ratio is the key
India
indicator for sugar sector of India.
It was determined that fundamental analysis give directive
Taiwan
information.
It was concluded that intangibles of the company, such as
Dow Jones Index competitive advantage, should be considered in addition
to fundamental analysis.
It was defined that technical analysis gives better results
Egypt
than fundamental analysis.
They concluded that investors can get higher profit by
Indonesia
integrating fundamental and technical approaches.
India It was determined that ICICI Bank has the greatest point.

It was determined that fundamental analysis is very

(Goodman, et. al., 2013) S&P 100 index call
successful in order to predict option price.
option
(Amsaveni and Gomathi, They concluded that Colgate Palmolive is the best FMCG
India
2013) company in India according to the results of the analysis.
It was concluded that there is insignificant relationship
(Iqbal, et. al., 2013) Karachi Stock Exchange
between fundamental analysis and future stock price.
(Horobet and Belascu, It was defined that profit margin is the most significant
Romania
2012) indicator of fundamental analysis.
Source: Authors
Fan made a study related to fundamental analysis of electronic corporation in Taiwan. Within this context, 20 financial
indicators were analyzed for the period between 2012 and 2014. As a result of the study, it was determined that
fundamental analysis give directive information (Fan, 2015). Chapman tested fundamental analysis by using
information of 30 different companies in Dow Jones Index. Within this scope, firstly he calculated the prices of the
stocks by using fundamental analysis. After that, he compared these results with the market price of these stocks. Finally,
it was concluded that intangibles of the company, such as competitive advantage, should be considered in addition to
fundamental analysis (Chapman, 2015).Wafi and others compared the performance of technical analysis and
fundamental analysis. For this purpose, he analyzed Egyptian stock exchange for the years between 1998 and 2009.
Furthermore, within this scope, 37 nonfinancial companies were included in this study. As a result of this analysis, it
was defined that technical analysis gives better results than fundamental analysis (Wafi, et. al., 2015). Waworuntu and
Suryanto also made a study about the performance of technical and fundamental analysis. Within this context, the data
of Indonesian stock exchange for the periods between 2004 and 2009 was analyzed in this study. In conclusion, it was
defined that both technical and fundamental analysis are successful in making investment decision. Another result of
this study is that investors can get higher profit by integrating these two approaches (Waworuntu and Suryanto, 2015).
Megharaja made a study related to fundamental analysis of the financial institutions in India. Within this scope, he
compared 3 banks in India in this study. In addition to this aspect, 7 different ratios were used in this analysis. According
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to fundamental analysis result, it was determined that ICICI Bank has the greatest point (Megharaja, 2015). Goodman
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and others tried to analyze whether fundamental analysis can predict absolute stock price movements or not in option
market. To achieve this purpose, the data between the years 1996 and 2001 was used in this study. As a result, it was

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 Emir, et al. / International Journal of Finance & Banking Studies
Vol 4, No 4, 2015 ISSN: 2147-4486
determined that fundamental analysis is very successful in order to predict option price (Goodman, et. al., 2013).
Amsaveni and Gomathi made a study about the fundamental analysis of fast moving consumer goods companies in
India. For this purpose, the data of 6 Indian companies for the years between 2006 and 2012 was used in this study.
They concluded that Colgate Palmolive is the best FMCG company in India according to the results of the analysis
(Amsaveni and Gomathi, 2013). Iqbal and others tried to identify whether fundamental analysis can predict future stock
prices or not. Within this scope, all non-financial companies listed on Karachi Stock Exchange were analyzed for the
years between 2000 and 2009. As a result of ordinary least square analysis, it was determined that there is insignificant
relationship between fundamental analysis and future stock price (Iqbal, et. al., 2013). Horobet and Belascu made a
study about the performance of fundamental analysis in order to make investment decision. For this purpose, the data
of non-financial companies in Romania was used for the period between 2002 and 2009. According to the results of
panel data analysis, it was defined that profit margin is the most significant indicator of fundamental analysis (Horobet
and Belascu, 2012).

Research and Methods

Fundamental analysis
Financial reports refer to the summary of the financial performance of the companies. Because they give information
about financial activities, they are used by the investors in order to make investment decision for this company
(Gniewosz, 1990). In addition to the investors, financial reports are also helpful for top management to make strategic
decision related to this company.
Balance Sheet gives detailed information about assets, debts and capital amount of the company (Damodaran, 1996).
Moreover, it is also possible to classify short and long-term debts and liquid and illiquid assets. In addition to them,
receivables and stock can also be seen. Income Statement gives details all incomes and expenses of a company for a
given period (Penman and Penman, 2002). Therefore, it includes the amount of sales, cost of these sales, fixed and
variables costs of the company. At the end of this report, net profit of the company is also explained. Statement of
Changes in Equity explains increases and decreases in capital amount of the company (Costuleanu and Codreanu, 2010).
Thus, it is possible to learn the details of the capital amount for this company. Cash Flow Statement gives information
about all cash flows of a company for a given period (Carslaw and Mills, 1991). In other words, all cash inflows and
outflows of this company are explained in this report. Therefore, liquidity condition of a company can be followed by
using cash flow table. Fund Flow Statement explains the sources of a company provided for a given period and the
usage of them. Therefore, it gives information about the investment and finance of this company (Siddiqua and Hossan,
2012).
Fundamental analysis is an approach in order to define the real price of the stocks. By making this analysis, investors
have a chance to compare the actual price of the stock and the prices calculated by using fundamental analysis
(Thomsett, 2006). Therefore, this approach is helpful for investors in order to make buy or sell decision. If the market
price is greater than the calculated price, then this stock should be sold. On the other hand, lower market price than the
calculated price also gives a signal to buy this stock. Many issues are considered during the process of fundamental
analysis. The most important factors that affect fundamental analysis are the financial reports of the company. In
addition to them, macroeconomic factors, such as inflation and growth rate are also taken into the consideration in this
analysis. Moreover, important situations related to the sector of the company are also included in the fundamental
analysis.
Fundamental analysis consists of three different stages, which are economic analysis, sector analysis and company
analysis (Kramer and Pushner, 1997). With respect to economic analysis, the macroeconomic variables, which are
expected to affect the company, are analyzed (Chu, et. al., 1996). In other words, in order to make an investment to a
company, investors firstly evaluate the condition of the country in which this company operates. The main reason behind
this situation is that if there is an economic problem in that country, there is high probability that this situation also
affects the company negatively. Within the scope of economic analysis, GDP growth rate is a significant indicator. For
example, when there is a recession in the country, the stock price of the company will probably be affected. In addition
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to GDP growth rate, unemployment rate should also be taken into the consideration. In case of high unemployment,
there can be economic recession in the country. Moreover, high inflation rates decrease stability in an economy. That is
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to say, when there is low inflation rate in the country, because of stable economic environment, investors become more

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willing to make investment in that country. Budget deficit and current account deficit are also other important criteria
used in fundamental analysis. High budget deficit leads to high inflation rates and this situation affects the price of stock
exchange negatively. Similar to this issue, high rates of current account deficit causes unstable economic environment.
Sector analysis is the second step of fundamental analysis. The main reason of this analysis is that there can be problems
for some specific sectors although there is no problem regarding the economy of the country. Therefore, the sector of
the company, which we aim to invest, should be analyzed as well (Kevin, 2015). The results of the sector analysis are
important determinants for the investment. With respect to the sector analysis, sales and profit amount for this sector
should be evaluated. These numbers should also be compared with previous years to determine whether there is an
extraordinary difference. Government politics and international relations for this sector should also be analyzed.
Company analysis is the last step of fundamental analysis. Within this context, financial reports of the company are
evaluated. By using the ratios calculated from these reports, many important aspects, such as liquidity, profitability of
the firm can be analyzed. By using these results, strengths, weaknesses, opportunities and threats of the company are
determined. As a result, investors have an idea in order to give their investment decisions as for this company
(Ranganatham, 2006).

Key Ratios in Fundamental Analysis

Ratio analysis is the most significant part of the fundamental analysis. In this process, some ratios, calculated by using
accounts in financial reports, are used. These ratios can be classified as liquidity ratios, financial ratios, operating ratios
and profitability ratios. This classification is depicted on the following table.
Table 2: Key Ratios Used in Fundamental Analysis

Group of the Ratio Name of the Ratio Formula

Current Ratio Current Assets/Short Term Liabilities
Liquidity Ratios Liquidity Ratio (Current Assets-Stocks) / Short Term Liabilities
Cash Ratio Cash and Cash Equivalents / Short Term Liabilities
Financial Leverage Ratio Total Debt / Total Assets
Capital Ratio Total Capital / Total Assets
Debt to Equity Ratio Total Debt / Total Equity
Financial Ratios
(Profit Reserves-Accumulated Losses) / Capital
Self-Financing Ratio
Paid In
Fixed Asset to Capital Ratio Fixed Assets / Capital
Receivable Turnover Ratio Net Sales / Average Receivables
Operating Ratios Inventory Turnover Ratio Cost of Goods Sold / Average Stock
Asset Turnover Ratio Net Sales / Average Assets
Net Profit Margin Net Profit / Total Sales
Return on Equity Net Profit / Total Capital
Profitability Ratios Return on Asset Net Profit / Total Assets
(Net Income Before Tax + Interest Expense) /
Interest Coverage Ratio
Interest Expense

Liquidity ratios show how liquid the company is for a given period. In other words, they give information about the
solvency of the company for short-term debt (Saleem and Rehman, 2011). Some ratios related to the liquidity are
emphasized below.
Current Ratio is the ratio of current assets to short-term liabilities. As it can be understood from this definition, this ratio
shows the capacity of the company to pay short-term debts. This ratio is expected to be more than two, but it is also
recommended to evaluate this ratio according to the sector of the company (Edmister, 1972). Liquidity Ratio gives
information about the capacity of the company to pay its short-term debt without using its stock. It is accepted that if
this ratio is greater than 1, it means that this company can pay its short-term debt easily (Howton and Perfect, 1998).
Cash Ratio shows the capacity of the company to pay its debt in an emergency condition. It is accepted for a company
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to have cash ratio higher than 0.2 in order not to have any problem (Callao, et. al., 2007).
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In addition to them, financial ratios explain how the assets of the company are financed. That is to say, the main purpose
of these ratios is to understand the assets are financed with the capital or debt (Chen and Shimerda, 1981). Some of the
financial ratios are explained below.
Financial Leverage Ratio is the ratio of total debt to total assets. Having high leverage ratio decreases the credibility of
the company. The main reason is that if this ratio is high, then there is a high possibility for this company to face burden
of the debt problem (Welch, 2011). Capital Ratio is the ratio of total capital to total assets. As it can be understood from
the definition this ratio explains what percentage of assets are financed by the owner of the company. Therefore, unlike
financial leverage ratio, capital ratio is preferred to be high (Peek and Rosengreen, 1995). Debt to Equity Ratio is also
another financial ratio that gives information about the way of financing assets. In order to have a lower financial risk,
it is preferred for a company to have less debt than the equity. Thus, this ratio is supposed to be less than 1 (Koutmos
and Saidi, 1995). Self-Financing Ratio explains how much the company finances its assets from its own resources.
Hence, high self-financing ratio is preferred in order to have better financial condition (Aizenman, et. al., 1995). Fixed
Asset to Capital Ratio gives information about what percentage of fixed assets is financed by using capital. Therefore,
this ratio is preferred to be low (Wirawan, 2013).
Moreover, operational ratios give information about whether the assets are used efficiently or not (Yepes and Dianderas,
1996). Receivable Turnover Ratio explains how efficiently the assets are used. Because of this issue, it is measured as
the ratio of net sales to average accounts receivables. If this ratio is high, it demonstrates that this firm can collect its
receivables effectively (Witkowska, 2006). Inventory Turnover Ratio gives information about how long the goods are
waiting as a stock before they are sold. Stocks should not be waited too much because they cause extra costs, such as
rent. Therefore, inventory turnover ratio is preferred to be high (Kolias, et. al., 2011). Asset Turnover Ratio shows how
efficiently assets of the company are used for a given period. Therefore, it is calculated as a ratio of net sales to average
assets. Therefore, higher asset turnover ratio refers that this company uses assets efficiently (Brown and Bukovinsky,
2001).
Furthermore, profitability ratios are used in order to evaluate how this company is successful with respect to its earnings.
These ratios are also compared with competitors to see the financial condition of the company (Saleem and Rehman,
2011). Net Profit Margin is the ratio of net profit to net sales. In other words, this ratio demonstrates how the sales are
converted to the profit. Because of this issue, high profit margin is always preferred (Waldman, et. al., 2011). Return
on Equity is the ratio of net profit to total capital amount. Hence, it can be said that this ratio explains how effectively
the capital amount is used. Because of this aspect, this ratio should be high (Hellman, 1993). Return on Assets is the
ratio of net profit to total assets. In other words, it gives information how effectively the company uses its assets.
Therefore, high ratio of return on asset is preferred (Azhar Rosly and Afandi Abu Bakar, 2003). Interest Coverage Ratio
gives information about the capacity of the company in order to pay its interest expense. Therefore, high interest
coverage ratio is preferred (Mills and Yamamura, 1998).

Outlier Detection Methods

Generally, an outlier is defined as a data point (observation) that has significant differences, based on a predetermined
measure, compared to other data points. Outlier detection is an important preprocessing step of data mining trying to
identify observations that do not fit into the general structure of data set (Agrawal & Agrawal, 2015). Detecting outliers
is one of the core steps towards building successful predictive models, especially on data sets containing a large number
of attributes. Because outliers may have a harmful effect on leading wrong model specifications. Due to biased model
parameters, predictive models can produce results that are not sufficiently successful (Ben-Gal, 2005). Outliers may be
the observations that are erroneously recorded during data collection phase or different ones from the other observations.
In both cases, they may impose excessive influence on the methods that are used for data analysis. Thus, identifying
them by using reliable outlier detection techniques before applying any predictive method is important (Vijendra &
Shivani, 2014). As outliers help in choosing the right predictive models and their parameters, they contribute to the data
analysis (Kamath, 2009)
Some of the data mining techniques are not strongly influenced by outliers and are called robust methods. However, in
the existence of outliers, some of the methods give inconsistent and unreasonable results (Berthold et al., 2010). Thus,
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using predictive methods and sampling techniques that are robust to outliers affects the quality of results considerably.
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There is a wide variety of outlier detection approaches. Details of methods are investigated in surveys (Agrawal &
Agrawal, 2015; Chandola et al., 2009; Gupta et al., 2014; Hodge & Austin, 2004; Pimentel et al., 2014; Markou &
Singh, 2003).
Since unsupervised algorithms do not need a supervisor/expert to label the training data, the majority of outlier detection
algorithms rely on unsupervised learning (Amer & Goldstein, 2012). One of the most commonly used types of
unsupervised outlier detection techniques is based on nearest neighbor approach. These techniques presume that outliers
occur in sparse neighborhoods so they lay on positions far from their nearest neighbors. Outlier scores of observations
are determined by taking into account their neighborhood. In this study, first outlier detection algorithm we experiment
is k Nearest Neighbor (k-NN) global outlier score. Outlier score is calculated as the average distance of the k- Nearest
Neighbors (Angiulli & Pizzuti, 2002) or as the distance to the neighbor (Ramaswamy et al., 2000).
The other type of outlier detection algorithms use statistical techniques in which firstly, a statistical model is built on
the given data set and then a statistical inference test is utilized to conclude if a new observation fits this statistical
model or not. Statistics-based outlier detection methods suppose that outliers lay on the regions of the statistical
distribution, which have low probability contrary to normal observations laying on the regions having a high probability
(Chandola et al., 2009). In parametric statistical techniques, for determining model parameters from data, a prespecified
underlying distribution is assumed whereas nonparametric techniques do not need to assume an underlying distribution.
The second algorithm we experiment in this study is a nonparametric statistical outlier detection method called
Histogram-based Outlier Score (HBOS). This method calculates a separate univariate histogram for every attribute in
the data set. Method has two modes (one with a static and one with a dynamic binwidth). In the static mode, every bin
has the same binwidth equally distributed over the value range. In the dynamic mode, the binwidth can vary and
minimum number of examples contained in a bin can be specified. The binwidth / minimum number values per bin is
then calculated automatically. Usually, the square root of the number of observations is used for determining the default
value for the number of bins. For computing the outlier scores of observations, the histograms are normalized to one in
height first. Then, the score is inverted, so that outliers have a high score and normal observations have a low score
(RapidMiner Extension: Anomaly Detection, 2014).
Spectral-based outlier detection techniques use a combination of features that capture the most of the variability in the
dataset for attaining an approximation of data set. In these techniques, it is assumed that data can be mapped into a lower
dimensional space in which normal observations and outliers occur importantly different (Chandola et al., 2009). The
third outlier detection algorithm that is experimented in this study is Robust Principal Component Analysis Anomaly
Score (rPCA) algorithm that is a one of the spectral technique. rPCA computes an anomaly score based on a robust
PCA estimation. For robustness, trimming of the original data set based on the Mahalanobis distance is performed first.
Then, PCA is computed and a score is determined based on the top upper and/or lower principal components (Shyu et
al., 2003).

Empirical Analysis
The analysis is constructed using the data set from 2011 to 2014. The end of year values are considered to analyze the
fundamental financial parameters. Total number of observations is 400 for initial raw data set. Then, observations that
have missing values are excluded and final size of data set is reduced to 349.
In the literature, there are several kinds of fundamental analysis parameters to evaluate firm values. However, the
limitation of this study is to consider common parameters that fit to all firms and Table 3 gives information on the
selected variables for creating outlier detection models. Accordingly, nine fundamental variables are employed to
evaluate the outliers.
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Table 3: Selected Variables for Outlier Detection

Variable Symbol
Current Ratio V1
Cash Ratio V2
Net Sales V3
Net Profit V4
Total Assets V5
Short Term Liabilities V6
Net Profit / Net Sales V7
Net Profit / Total Assets V8
Short Term Liabilities / Total Assets V9

Descriptive of variables is given in Table 4. Minimum, maximum and mean values of variables are presented. These
values provide useful information for evaluating the results of outlier detection models.
Table 4: Descriptive Statistics for model variables

Variable N Minimum Maximum Mean

V1 349 0,07 237,26 4,34
V2 349 0,01 232,81 2,97
V3 349 51.31 68.969.387.000 3.846.838.395
V4 349 -753.735.000 2.710.145.000 254.031.810
V5 349 47.493.761 230.526.555.000 6.541.022.123
V6 349 543.191 169.096.825.000 2.968.036.354
V7 349 -58,80 1.172,59 3,44
V8 349 -1,37 0,59 0,04
V9 349 0,01 3,03 0,32

Table 5 illustrates top 20 outlier results of k-NN Global Outlier Detection algorithm. Nine different firms take place in
the outlier list. The top outlier observation (SAHOL-31.12.2014) has the maximum value of V5 (230.526.555.000) and
V6 (169.096.825.000). It has greater values of V3, V4 and V9 than means of these variables. SAHOL is in first four
place, KCHOL and TUPRS have the next four places consecutively. THYAO follows these firms with two observations.
EKGYO, YAZIC, BIMAS, TCELL and AEFES are the other outliers in the list. K-NN global outlier detection algorithm
commonly identifies as outlier the holdings and companies with large sales volume, short-term liabilities and net profit.
Table 6 figures out the top 20 outlier results of Histogram - Based Outlier Detection algorithm. The top outlier
observation (SAHOL-31.12.2013) in this algorithm is also the first outlier in k-NN. The top eight seats are shared by
SAHOL and KCHOL with four observations each. Histogram Based method does not produce a consecutive outlier
order structure as k-NN as expected. Eight different firms take place in the outlier list. VKGYO, KOZAL, ECZYT are
firms in the list that do not appear in the k-NN results.
Histogram Based method scores the firm (SAHOL-31.12.2013) with lower the current and cash ratio, net profit/net
sales, net profit/total asset, short-term liabilities/total assets than the mean values as the most prominent outlier
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Table 5: Top 20 k-NN Global Outlier Scores

Date Firm V1 V2 V3 V4 V5 V6 V7 V8 V9 Outlier Score

31.12.2014 SAHOL 0,65 0,09 10.517.510.000 2.079.114.000 230.526.555.000 169.096.825.000 0,20 0,01 0,73 187192670852
31.12.2013 SAHOL 0,70 0,15 8.457.484.000 1.731.396.000 206.570.819.000 150.872.625.000 0,21 0,01 0,73 160903550467
31.12.2012 SAHOL 0,67 0,10 7.088.379.000 1.858.491.000 171.826.030.000 125.832.866.000 0,26 0,01 0,73 132447550645
30.12.2011 SAHOL 0,60 0,08 10.595.650.000 1.877.987.000 150.855.400.000 113.432.029.000 0,18 0,01 0,75 120918135403
30.12.2011 KCHOL 0,80 0,13 68.969.387.000 2.124.469.000 98.621.087.000 62.031.471.000 0,03 0,02 0,63 87719342492
31.12.2014 KCHOL 1,33 0,52 68.336.365.000 2.710.145.000 63.941.008.000 19.016.744.000 0,04 0,04 0,30 48288295044
31.12.2013 KCHOL 1,35 0,47 65.942.213.000 2.679.713.000 58.789.960.000 19.182.420.000 0,04 0,05 0,33 44471062510
31.12.2012 KCHOL 1,37 0,45 65.449.383.000 2.324.150.000 48.687.778.000 15.816.621.000 0,04 0,05 0,33 40247168308
31.12.2012 TUPRS 1,13 0,40 42.436.908.000 1.464.119.000 16.647.907.000 8.068.100.000 0,04 0,09 0,49 20978190635
30.12.2011 TUPRS 1,08 0,15 40.747.047.000 1.241.738.000 14.757.986.000 8.386.151.000 0,03 0,08 0,57 20451634731
31.12.2013 TUPRS 0,94 0,35 41.078.427.000 1.197.223.000 21.139.387.000 10.396.466.000 0,03 0,06 0,49 20017502238
31.12.2014 TUPRS 0,82 0,46 39.722.712.000 1.458.963.000 21.932.560.000 8.561.001.000 0,04 0,07 0,39 19017782943
31.12.2014 THYAO 0,77 0,20 24.157.801.405 1.819.259.536 31.875.607.062 8.505.344.748 0,08 0,06 0,27 16665988650
31.12.2013 THYAO 0,68 0,21 18.776.784.325 682.707.427 25.402.077.818 6.652.755.831 0,04 0,03 0,26 9237248344
31.12.2014 EKGYO 0,95 0,50 1.804.523.000 954.397.000 14.953.485.000 5.711.879.000 0,53 0,06 0,38 6142296058
31.12.2012 YAZIC 0,83 0,18 1.423.523.000 909.396.000 11.827.706.000 7.495.033.000 0,64 0,08 0,63 5672939212
31.12.2014 BIMAS 0,90 0,16 14.463.059.000 395.299.000 3.238.131.000 2.021.398.000 0,03 0,12 0,62 5317388998
31.12.2014 TCELL 2,67 1,81 12.043.587.000 1.866.924.000 23.668.317.000 4.991.169.000 0,16 0,08 0,21 5084878629
31.12.2013 AEFES 1,58 0,73 9.195.773.000 2.608.920.000 22.366.984.000 3.147.302.000 0,28 0,12 0,14 4881726690
31.12.2013 EKGYO 1,60 1,21 2.331.138.000 1.060.537.000 13.470.982.000 4.512.022.000 0,46 0,08 0,34 4867679029

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Table 6: Top 20 Histogram Based Outlier Scores

Outlier
Date Firm V1 V2 V3 V4 V5 V6 V7 V8 V9
Score
31.12.2013 SAHOL 0,70 0,15 8.457.484.000 1.731.396.000 206.570.819.000 150.872.625.000 0,21 0,01 0,73 9,25
30.12.2011 KCHOL 0,80 0,13 68.969.387.000 2.124.469.000 98.621.087.000 62.031.471.000 0,03 0,02 0,63 8,96
30.12.2011 SAHOL 0,60 0,08 10.595.650.000 1.877.987.000 150.855.400.000 113.432.029.000 0,18 0,01 0,75 8,65
31.12.2014 SAHOL 0,65 0,09 10.517.510.000 2.079.114.000 230.526.555.000 169.096.825.000 0,20 0,01 0,73 8,55
31.12.2012 SAHOL 0,67 0,10 7.088.379.000 1.858.491.000 171.826.030.000 125.832.866.000 0,26 0,01 0,73 8,51
31.12.2012 KCHOL 1,37 0,45 65.449.383.000 2.324.150.000 48.687.778.000 15.816.621.000 0,04 0,05 0,33 8,40
31.12.2014 KCHOL 1,33 0,52 68.336.365.000 2.710.145.000 63.941.008.000 19.016.744.000 0,04 0,04 0,30 8,22
31.12.2013 KCHOL 1,35 0,47 65.942.213.000 2.679.713.000 58.789.960.000 19.182.420.000 0,04 0,05 0,33 8,10
31.12.2014 VKGYO 237,26 232,81 2.603.345 21.854.652 749.969.806 1.344.933 8,40 0,03 0,00 7,46
31.12.2013 TUPRS 0,94 0,35 41.078.427.000 1.197.223.000 21.139.387.000 10.396.466.000 0,03 0,06 0,49 7,19
31.12.2014 THYAO 0,77 0,20 24.157.801.405 1.819.259.536 31.875.607.062 8.505.344.748 0,08 0,06 0,27 6,29
31.12.2013 ALGYO 120,77 100,79 32.208.298 84.385.039 388.760.710 1.671.142 2,62 0,22 0,00 6,18
31.12.2014 KOZAL 17,41 14,34 885.888.000 494.890.000 2.019.552.000 74.667.000 0,56 0,25 0,04 5,77
31.12.2013 THYAO 0,68 0,21 18.776.784.325 682.707.427 25.402.077.818 6.652.755.831 0,04 0,03 0,26 5,71
30.12.2011 VKGYO 89,45 88,78 29.464.403 25.790.717 189.197.017 543.191 0,88 0,14 0,00 5,51
31.12.2012 TUPRS 1,13 0,40 42.436.908.000 1.464.119.000 16.647.907.000 8.068.100.000 0,04 0,09 0,49 5,49
31.12.2014 TUPRS 0,82 0,46 39.722.712.000 1.458.963.000 21.932.560.000 8.561.001.000 0,04 0,07 0,39 5,33
30.12.2011 TUPRS 1,08 0,15 40.747.047.000 1.241.738.000 14.757.986.000 8.386.151.000 0,03 0,08 0,57 5,25
31.12.2014 ECZYT 38,60 36,39 1.268.808.655 25.458.248 1.276.624.569 6.277.694 0,02 0,02 0,01 5,22
31.12.2014 ALGYO 75,00 63,56 14.919.333 78.151.728 463.942.210 2.994.025 5,24 0,17 0,01 5,21

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Table 7: Top 20 Robust PCA Outlier Scores

Outlier
Date Firm V1 V2 V3 V4 V5 V6 V7 V8 V9
Score
31.12.2014 VKGYO 237,26 232,81 2.603.345 21.854.652 749.969.806 1.344.933 8,40 0,03 0,00 42,20
31.12.2013 ALGYO 120,77 100,79 32.208.298 84.385.039 388.760.710 1.671.142 2,62 0,22 0,00 18,58
31.12.2014 SAHOL 0,65 0,09 10.517.510.000 2.079.114.000 230.526.555.000 169.096.825.000 0,20 0,01 0,73 17,86
31.12.2013 SAHOL 0,70 0,15 8.457.484.000 1.731.396.000 206.570.819.000 150.872.625.000 0,21 0,01 0,73 14,39
31.12.2014 GOZDE 3,27 1,19 51.315 60.171.733 1.596.993.791 159.960.907 1172,60 0,04 0,10 10,70
31.12.2012 SAHOL 0,67 0,10 7.088.379.000 1.858.491.000 171.826.030.000 125.832.866.000 0,26 0,01 0,73 9,67
31.12.2013 BJKAS 0,08 0,01 142.106.681 -143.902.222 104.646.652 317.904.163 -1,01 -1,38 3,04 9,47
30.12.2011 SAHOL 0,60 0,08 10.595.650.000 1.877.987.000 150.855.400.000 113.432.029.000 0,18 0,01 0,75 7,85
30.12.2011 BJKAS 0,08 0,01 153.475.240 -150.801.385 126.947.414 345.134.942 -0,98 -1,19 2,72 7,30
30.12.2011 KCHOL 0,80 0,13 68.969.387.000 2.124.469.000 98.621.087.000 62.031.471.000 0,03 0,02 0,63 6,65
30.12.2011 VKGYO 89,45 88,78 29.464.403 25.790.717 189.197.017 543.191 0,88 0,14 0,00 6,21
31.12.2014 ALGYO 75,00 63,56 14.919.333 78.151.728 463.942.210 2.994.025 5,24 0,17 0,01 5,67
31.12.2014 KCHOL 1,33 0,52 68.336.365.000 2.710.145.000 63.941.008.000 19.016.744.000 0,04 0,04 0,30 5,66
31.12.2013 KCHOL 1,35 0,47 65.942.213.000 2.679.713.000 58.789.960.000 19.182.420.000 0,04 0,05 0,33 4,42
31.12.2012 KCHOL 1,37 0,45 65.449.383.000 2.324.150.000 48.687.778.000 15.816.621.000 0,04 0,05 0,33 4,08
31.12.2013 VKGYO 70,87 70,51 2.338.085 4.358.389 198.991.299 785.622 1,86 0,02 0,00 3,99
31.12.2012 BJKAS 0,15 0,05 147.426.786 -68.299.282 100.698.378 211.934.015 -0,46 -0,68 2,11 3,97
31.12.2014 AEFES 1,78 0,62 10.079.137.000 -512.233.000 20.113.805.000 2.533.723.000 -0,05 -0,03 0,13 3,16
31.12.2014 BJKAS 0,21 0,00 222.818.633 -140.478.649 179.621.502 338.397.664 -0,63 -0,78 1,88 3,01
30.12.2011 TUPRS 1,08 0,15 40.747.047.000 1.241.738.000 14.757.986.000 8.386.151.000 0,03 0,08 0,57 2,86

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The top 20 outlier results of Robust PCA Outlier Detection algorithm are given in Table 7. The top outlier observation
is (VKGYO - 31.12-2014) while it is the ninth in histogram-based outlier list. Outliers do not have consecutive orders
as histogram-based approach. In the list, there are eight different firms. The first outlier is the firm having the highest
current and cash ratios among all observations. The second outlier (ALGYO-31.12.2013) has values of current and cash
ratios far greater than the mean. GOZDE and BJKAS join as outliers firstly in this list. (GOZDE-31.12.2014) is at
forefront of net profit/net sales while (BJKAS-31.12.2013) has the highest value of short-term liabilities / total assets.

Table 8: Firm based summary of outlier methods

k-NN Histogram Robust

Firm Total
Global Based PCA
KCHOL 4 4 4 12
SAHOL 4 4 4 12
TUPRS 4 4 1 9
VKGYO - 2 3 5
ALGYO - 2 2 4
BJKAS - - 4 4
THYAO 2 2 - 4
AEFES 1 - 1 2
EKGYO 2 - - 2
BIMAS 1 - - 1
ECZYT - 1 - 1
GOZDE - - 1 1
KOZAL - 1 - 1
TCELL 1 - - 1
YAZIC 1 - - 1

Table 8 demonstrates the firm based summary of outlier methods. There are 15 different firms in the three lists produced
by three outlier detection methods. KCHOL and SAHOL have the great number of appearances with 12 observations.
KCHOL, SAHOL and TUPRS are firms that appears on all lists. EKGYO, BIMAS, TCELL, YAZIC for k-NN global;
ECZYT, KOZAL for histogram-based; BJKAS, GOZDE for robust PCA are placed in its own list only.
Empirical findings show that each outlier detection approach uses variables in different weights. Thus, methods give
different outlier firm lists to explore the inner structure of data set.

Conclusion
In this study, it is aimed to identify abnormal observations with respect to the fundamental analysis. Within this scope,
three outlier detection algorithms namely k-NN Global Outlier Score , Histogram - Based Outlier Score and Robust
PCA Outlier Score are utilized using end year values of nine significant fundamental analysis variables of firms listed
in Borsa Istanbul for the period between 2011 and 2014.
According to the results of k-NN Global Outlier Score algorithm, nine different firms took place in the outlier list.
(SAHOL-31.12.2014) has the maximum values of the variables total assets and short term liabilities. Additionally,
KCHOL and TUPRS have the next four places consecutively. In addition, EKGYO, YAZIC, BIMAS, TCELL and
AEFES are the other outliers in the list.
(SAHOL-31.12.2013) is also the first outlier of Histogram - Based Outlier Score algorithm. It has lower current and
cash ratios, net profit/net sales, net profit/total asset, short-term liabilities/total assets comparing with others. However,
Histogram Based method does not produce a consecutive outlier order structure as in k-NN Global algorithm. KCHOL,
56

VKGYO, KOZAL, ECZYT are also in the outlier list.

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(VKGYO - 31.12-2014) is the top outlier in Robust PCA Outlier Score algorithm whereas it is the ninth outlier in
Histogram-Based outlier list. Similar to this situation, other outliers do not also have consecutive orders as histogram-

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 Emir, et al. / International Journal of Finance & Banking Studies
Vol 4, No 4, 2015 ISSN: 2147-4486
based approach. The first outlier in Robust PCA Outlier Score algorithm is the firm having the highest current and cash
ratios among all observations. In addition, there are eight different firms in the list.
In conclusion, 15 different firms were identified in this study by three different outlier detection methods. Out of these
firms, KCHOL and SAHOL have the greatest number of appearances with 12 observations. However, it was also defined
that each of three algorithms creates different outlier firm lists. The main reason behind this situation is that each outlier
detection approach uses a different approach for identifying outliers.

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